Re: [Quantlib-users] How to generalise the creation of Index

[Francis D. <fdf...@gm...>]

Hi Brian, Tom,

You could possibly adapt this function, boost::shared_ptr<IborIndex>
parseIborIndex(...), from ORE to achieve what you want:
https://github.com/OpenSourceRisk/Engine/blob/master/OREData/ored/utilities/indexparser.cpp#L197
?

Thanks,
Francis.

On Tue, Sep 22, 2020 at 8:52 PM Tom Anderson <tw...@ur...> wrote:

> On Wed, 23 Sep 2020, Brian Smith wrote:
>
> > It will really be very helpful if there is some way to achieve this
> > using a variable string -
>
> I agree.
>
> In my code, i define an enum Index, and then have a function like this:
>
> shared_ptr<IborIndex> lookupIborIndex(Index index,
> Handle<YieldTermStructure>& curveHandle = EMPTY_HANDLE) {
>    switch (index) {
>      case Index::FED_FUNDS: return make_shared<FedFunds>(curveHandle);
>      case Index::SOFR: return make_shared<Sofr>(curveHandle);
>      case Index::USD_LIBOR_3M: return make_shared<USDLibor>(Period(3,
> TimeUnit::Months), curveHandle);
>      default: QL_FAIL("unknown index: " << Traits<Index>::name(index) << "
> (" << index << ")");
>    }
> }
>
> It would be nice not to have to do that.
>
> tom
>
> > On Sat, 19 Sep 2020 at 23:01, Brian Smith <bri...@gm...>
> wrote:
> >>
> >> Hi,
> >>
> >> I understand that one way to create an index in QuantLib is,
> >>
> >> ext::shared_ptr<IborIndex> myIndex(new Euribor1M(termStructure));
> >>
> >> However in my case the information like Euribor1M is variable and
> >> stored in another variable like,
> >>
> >> std::string getIndex = "Euribor1M";
> >>
> >> I am looking for some way to pass the variable getIndex, instead
> >> Euribor1M directly, to create appropriate index based on my dynamic
> >> situation.
> >>
> >> Is there any possible way to achieve this?
> >
> >
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> >
>
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